How to get wti or brent future option data via python API eikon

fengyijin
fengyijin
in Eikon Data APIs

like volumns of call or put option expiring at Apr 26 for strike 106 for ice brent future, open interest, IV, etc.

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Best Answer

  • raksina.samasiri
    raksina.samasiri admin
    Answer ✓

    hi @fengyijin ,

    Please find an answer from the content specialist below

    It appears that you are looking for the WTI or Brent Options on Futures with the following characteristics:

    1. Call and Put
    2. Strike Price 106
    3. Expiration on April 26 2022

    specifically the data on volume, open interest, implied volatility

    ICE Brent Future Option:
    1. For ICE Brent, the Call has the RIC LCO10600F2
    2. For ICE Brent, the Put has the RIC LCO10600R2

    WTI Future Option, they don't have a contract expiring on Apr 26 2022 but you may find the other contract months under the chain RIC 0#CL+

    In Excel or API, you may use the following fields: TR.ACCUMULATEDVOLUME;TR.OPENINTEREST and TR.IMPLIEDVOLATILITY

    Sample Formula in Excel to get the TR.ACCUMULATEDVOLUME;TR.OPENINTEREST and TR.IMPLIEDVOLATILITY

    =@TR("LCO10600F2","TR.IMPLIEDVOLATILITY;TR.ACCUMULATEDVOLUME;TR.OPENINTEREST","CH=Fd RH=IN")

    I hope this helps. Please let me know if you have any additional questions.
    ----------------------------------------------------------------------

    This Excel formula can be converted to Python code for the Eikon Data API as

    df, err = ek.get_data('LCO10600F2',['TR.IMPLIEDVOLATILITY','TR.ACCUMULATEDVOLUME','TR.OPENINTEREST'])
    df

    and the output is

       Instrument  Implied Volatility  Accumulated Volume  Open Interest
    0  LCO10600F2               50.45                  32            661

Answers

  • raksina.samasiri
    raksina.samasiri admin

    This forum is more for programming-type queries, rather than content queries. I would recommend you to contact the Eikon support team directly via MyRefinitiv. You can ask for the =TR formula in the Eikon Excel which can be used to retrieve this data and if the formula is available, we can apply it to the get_data method in Eikon Data API. That way a content specialist can work closely with you to find a way to get the required data.

    However, for this case, I've raised ticket number 11144961 to a content specialist team to confirm if it is possible to retrieve the data using Eikon Excel or Eikon Data API. I'll keep you updated

    Hope this could help

  • fengyijin
    fengyijin

    Thank you for your answer! that helps me a lot

  • fengyijin
    fengyijin
    thank you so much! nice!

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